The aim of this study is to develop a general equilibrium framework linking real estate prices to the real economy. The model is evaluated in terms of its ability to explain: (i) the high volatility of residential real estate prices, (ii) the fact that commercial real estate prices are more...

The main objective of this work is to develop a general equilibrium business cycle model linking financial and real estate markets to the macroeconomy. The ability of a production economy to account simultaneously for asset pricing, business cycle and real estate market facts is then evaluated...

This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary externality generates large reductions in the...